We don't have a lot of information about how Galadriel's Mirror operates or what its capabilities are. It can show the present and the future, though, while a Pensieve can only show memories that have been put into it, i.e., the past. A Pensieve may be more useful for more objectively viewing past events - but memories can be tampered with, so that's sort of negated. I'm not sure that Mirror can be tampered with. Then again, it seems to have a mind of its own, and what it shows is subject to some interpretation, which may be faulty. So I guess your purposes for choosing one would determine which one you would find more useful.

As to which one I would rather have myself? A Pensieve would be more useful to me. I could use it as a glorified to-do list by putting in memories of things I need to do. See, even the most magical items have the most mundane uses. But I'm not sure I would really need it. And I certainly don't want the Mirror. Sauron would spam it and visions of the future would trouble me. So not the Mirror, for sure. "I had forgotten that. It is hard to be sure of anything among so many marvels. The world is all grown strange. Elf and Dwarf in company walk in our daily fields; and folk speak with the Lady of the Wood and yet live; and the Sword comes back to war that was broken in the long ages ere the fathers of our fathers rode into the Mark! How shall a man judge what to do in such times?"

"As he ever has judged. Good and ill have not changed since yesteryear; nor are they one thing among Elves and Dwarves and another among Men. It is a man's part to discern them, as much in the Golden Wood as in his own house."